Talk:Lead–lag effect

This article makes no sense. -- Tim Starling 03:49 26 Jul 2003 (UTC)

I agree. I've replaced it with an article describing the real use of lead-lag effect in science, as far as I can tell: just as a generic term describing correlations between two variables at separate times. I did a 40-year literature search on INSPEC to make sure that there's no common use of the term for the trivial differential equation that the article previously contained. (One has to read between the lines in Reddi's articles to figure out what concept he is garbling; it seems like those equations may have come from lead-lag compensators in control theory.) Steven G. Johnson

Fair use rationale for Image:Pyat rublei 1997.jpg

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BetacommandBot 11:29, 6 July 2007 (UTC)[reply]

this needs to be incorporated into the aticle

Economics

A lead-lag effect, in economics, describes the situation where one (leading) variable is correlated with the values of another (lagging) variable at later times.

For example, economists have found that in some circumstances there is a lead-lag effect between large-capitalization and small-capitalization stock-portfolio prices (Lo and MacKinlay, 1990).

References

Andrew W. Lo and A. Craig MacKinlay, "When are contrarian profits due to stock market overreaction," Review of Financial Studies 3 (2), 175-205 (1990).
"The fuzzy logic between lead and lag indicators". Business Management Issue.
Hou, Kewei, "Industry Information Diffusion and the Lead-Lag Effect in Stock Returns". Ohio State University - Fisher College of Business.

Engineering Main article: Phase

In engineering, the lead-lag effect is the transfer function of two or more variables, which is based on the ordinary differential equation. The two body equation is defined as:

$a_{0}y+a_{1}{dy \over dt}=b_{0}x+b_{1}{dx \over dt}$

where $a_{0},a_{1},b_{0},$ and $b_{1}$ are constants. This coupling effect is symmetrical irrespective of directionality. In assessing the "frequency" of the oscillations, amplitude and phase may be different. One frequency may lead ahead or lag behind another frequency. The lead time constant can be greater than the lag time constant producing "time lead" [or pontentiality].

Symmetrical dynamic relations make periodic input oscillations so that the output has the same phase as the input. Lead-lag effects concern two-body problems, three-body problems, and multi-body problems. A lag (or delay) and a lead (or draw) is a phase gradient.

References

"Phase, Group, and Signal Velocity". MathPages.
"Lead-Lag Frequency Response". MathPages.
"Frequency Response of First-Order Lag". MathPages.
"Lead-Lag Compensation". Experiment 4. ECE 409 Lab Manual.